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ARIMA Modeling and Simulation of Currency Pairs

In this thesis the currency pairs USDCHF, EURUSD and EURSEK are examined. The aim is to develop a model that describes the pairs in a gratifying way. This has been done with an ARIMA model, the decision on this model was made after studying the stationarity or lack there of, of the currency pairs.
Further more the model are used to develop strategies for trading the currencies, when the signals to buy or sell should be red. The model is also used to simulate values of the currency pairs. The coefficients of the model are simulated via a copula simulation.

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BibTeX @misc{Berndtsson2014,author={Berndtsson, Kristina},title={ARIMA Modeling and Simulation of Currency Pairs},abstract={In this thesis the currency pairs USDCHF, EURUSD and EURSEK are examined. The aim is to develop a model that describes the pairs in a gratifying way. This has been done with an ARIMA model, the decision on this model was made after studying the stationarity or lack there of, of the currency pairs.
Further more the model are used to develop strategies for trading the currencies, when the signals to buy or sell should be red. The model is also used to simulate values of the currency pairs. The coefficients of the model are simulated via a copula simulation.},publisher={Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,},place={Göteborg},year={2014},}

RefWorks RT GenericSR ElectronicID 207269A1 Berndtsson, KristinaT1 ARIMA Modeling and Simulation of Currency PairsYR 2014AB In this thesis the currency pairs USDCHF, EURUSD and EURSEK are examined. The aim is to develop a model that describes the pairs in a gratifying way. This has been done with an ARIMA model, the decision on this model was made after studying the stationarity or lack there of, of the currency pairs.
Further more the model are used to develop strategies for trading the currencies, when the signals to buy or sell should be red. The model is also used to simulate values of the currency pairs. The coefficients of the model are simulated via a copula simulation.PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,LA engLK http://publications.lib.chalmers.se/records/fulltext/207269/207269.pdfOL 30